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I’m making an attempt to fine tune the Walk Forward Analysis (WFO) that my trading system produces. The main issue that I would like to explore is how Multicharts handles boundary Bar trades. For simplicity sake, I’ll provide an example of what I perceive a Boundary Bar trade to be.
Example:
Using the WFO with an in-sample (IS) period of 20 (days) and an out of sample period (OOS) of 5 (days). The concept works using the “bar” measurement option as well, although, would most likely be much higher numbers. With “bars” let’s say In-Sample 2000 (bars) and out of sample 200 (bars). So, with these numbers every 5 days or 200 bars the OOS period will come to an end triggering the WFO to re-optimize an apply the new setting to the next sequential OOS period. This last bar of the OOS period is what I’m led to believe is the “Boundary Bar”.
At the Boundary Bar, there are two possibilities, either there is an open trade or the strategy is flat. If the strategy is flat than no worries but if it currently has an open position what happens to that trade. My thoughts are that there are several possibilities.
1. MC can close all open trades at the close of the boundary bar and re-enter a trade at the open of the new OOS period when/if a new signal is generated. The new trade could be either direction.
2. MC can allow same direction trades to stay live and only exit if trade direction changes thus allowing a new opposite direction trade at the open of the new OOS period when/if a new trade signal is generated.
3. MC can exit at the close of the Boundary Bar and re-enter on the start of the new OOS period without having a new signal generated. This would create a same direction trade. My feeling is this would be the least effective of the three.
So, how does Multicharts handle this issue when computing WFO?
Is there a way to programmatically set this functionality?
I have also posted this question on the MC Forum. I'll update the thread here if they provide an answer.
Thanks for the help.
GuppyDRV
Can you help answer these questions from other members on NexusFi?
I'm optimistic as well. I have all the EasyLanguage and MC manuals etc.... do you know of a definitive source where these sort of questions are answered. I'm self motivated but lack the recourses to do it myself. Would a TradeStation manual fill in the gaps. I don't trade with them now but would consider if the resources were available.
a Tradestation manual won't answer all MC related questions and vice versa. I don't think there is a definite source, the manuals, wikis and support forums are usually your best go to places.
Having said that there is probably more documentation available for Tradestation and the support forum is more active (simply as there are more people posting there), but you'll likely will face situations there too where something is not clear from the documentation.
